CLTs and asymptotic variance of time-sampled Markov chains

DOI10.1007/S11009-011-9237-8zbMath1262.60068arXiv1102.2171OpenAlexW2113561010MaRDI QIDQ1945602

Gareth O. Roberts, Krzysztof Łatuszyński

Publication date: 8 April 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.2171

zbMATH Keywords

central limit theoremasymptotic varianceMetropolis algorithmMCMC estimationBarker's algorithmtime-sampled Markov chainsvariance bounding Markov chains

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05)

Related Items (7)

The use of a single pseudo-sample in approximate Bayesian computation ⋮ Remarks on rates of convergence of powers of contractions ⋮ Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors ⋮ Optimal scaling of MCMC beyond Metropolis ⋮ Barker's algorithm for Bayesian inference with intractable likelihoods ⋮ Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions ⋮ Collective proposal distributions for nonlinear MCMC samplers: mean-field theory and fast implementation

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